central counterparty (CCP) on expected interdealer exposure is determined by the tradeoff between multilateral netting across dealers on … gain from multilateral netting in a CCP overweighs the loss of netting across asset classes in bilateral netting agreements … one hand and bilateral netting across asset classes on the other hand. We find this tradeoff to be sensitive to …

Purpose – This study aims to survey supervisory requirements and expectations for counterparty credit risk (CCR …). Design/methodology/approach – In this paper, a survey of CCR including the following elements has been performed. First …, various concepts in CCR measurement and management, including prevalent practices, definitions and conceptual issues have been …

Purpose – Value-at-risk (VaR) is a risk measure of potential loss on a specific portfolio. The main uses of VaR are in … risk management and financial reporting. Researchers are continuously looking for new and efficient ways to evaluate VaR …, and the 2008 financial crisis has given further impetus to finding new and reliable ways of evaluating and using VaR. In …

AddRS estimator) to compute and predict the long position and the short position value-at-risk (VaR) and stressed expected … shortfall (ES). The precise prediction of VaR and ES measures has important implications toward financial institutions, fund … authors evaluate its VaR and ES forecasting performance using various backtesting approaches for both long and short positions …

Value-at-Risk (VaR) and ES. Findings The author does not find long memory in returns, but does find long memory in the … GARCH models with skewed Student’s t -distribution is recommended to forecast VaR and ES. Originality/value Up to now, no …

Organization of Securities Commissions (IOSCO), in order to give effect to this investigation. Findings – Credit rating agencies … have implemented the provisions of the Code of Conduct Fundamentals for Credit Rating Agencies of the IOSCO on the quality …/implications – The main source of data is the information collected by the IOSCO from nine credit rating agencies, including the main …